It can be smelted into a lunar bar through the Smithing skill, granting 6.2 Smithing experience, and then made into a lunar helm or V sigil. The V sigil requires three lunar bars to make.
The lunar helm (along with the rest of lunar armour) can be kept inside of a player's house so they may make a second.
Lunar ore can be smelted into a bar using the Superheat Item spell.